VERO BEACH, Fla.--(BUSINESS WIRE)--Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors (the “Board”) declared a monthly cash dividend for the month of October 2022. The dividend of $0.16 per share will be paid November 28, 2022 to holders of record of the Company’s common stock on October 31, 2022, with an ex-dividend date of October 28, 2022. The Company plans on announcing its next common stock dividend on November 9, 2022.
The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.
As of October 12, 2022, the Company had 33,760,251 shares of common stock outstanding. As of September 30, 2022, the Company had 35,066,251 shares of common stock outstanding. As of June 30, 2022, the Company had 35,250,239 shares of common stock outstanding, adjusted for the Company’s one-for-five reverse stock split effective August 30, 2022 (the “Reverse Stock Split”).
Stock Repurchase Program
Today, the Board approved an increase in the number of shares of the Company’s common stock available in its previously announced stock repurchase program (the “Repurchase Program”) for up to an additional 4.3 million shares, bringing the remaining authorization under the Repurchase Program to 5.0 million shares, representing approximately 15% of the Company’s currently outstanding shares of common stock.
As part of the Repurchase Program, shares may be purchased in open market transactions, block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the Repurchase Program may be suspended or discontinued at the Company’s discretion without prior notice. The Repurchase Program has no termination date.
Estimated September 30, 2022 Book Value Per Share
The Company’s estimated book value per share as of September 30, 2022 was $11.42. The Company computes book value per share by dividing total stockholders' equity by the total number of outstanding shares of common stock. At September 30, 2022, the Company's preliminary estimated total stockholders' equity was approximately $400.4 million with 35,066,251 shares of common stock outstanding. These figures and the resulting estimated book value per share are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.
Estimated Net Loss Per Share and Realized and Unrealized Gains and Losses on RMBS and Derivative Instruments
The Company estimates it generated a net loss per share of $2.41, which includes $2.66 per share of net realized and unrealized losses on RMBS and derivative instruments for the quarter ended September 30, 2022. These amounts compare to total dividends declared during the quarter of $0.545 per share, adjusted for the Reverse Stock Split, as applicable. Net loss per common share calculated under generally accepted accounting principles can, and does, differ from our REIT taxable income. The Company views REIT taxable income as a better indication of income to be paid in the form of a dividend rather than net loss. Many components of REIT taxable income can only be estimated at this time and our monthly dividends declared are based on both estimates of REIT taxable income to be earned over the course of the current quarter and calendar year and a longer-term estimate of the REIT taxable income of the Company. These figures are preliminary, subject to change, and subject to review by the Company’s independent registered public accounting firm.
Estimated Total Return on Equity
The Company’s estimated total return on equity for the quarter ended September 30, 2022 was (16.7)%. The Company calculates total return on equity as the sum of dividends declared and paid during the quarter plus changes in book value during the quarter, divided by the Company’s stockholders’ equity at the beginning of the quarter. The total return was $(2.395) per share, comprised of dividends per share of $0.545 and a decrease in book value per share of $2.94 from June 30, 2022.
RMBS Portfolio Characteristics
Details of the RMBS portfolio as of September 30, 2022 are presented below. These figures are preliminary and subject to change and, with respect to figures that will appear in the Company’s financial statements and associated footnotes as of and for the quarter ended September 30, 2022, are subject to review by the Company’s independent registered public accounting firm.
- RMBS Valuation Characteristics
- RMBS Assets by Agency
- Investment Company Act of 1940 Whole Pool Test Results
- Repurchase Agreement Exposure by Counterparty
- RMBS Risk Measures
About Orchid Island Capital, Inc.
Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.
Forward-Looking Statements
This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions and the Repurchase Program. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2021.
RMBS Valuation Characteristics |
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($ in thousands) |
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Realized |
Realized |
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Sep 2022 |
Jul - Sep |
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Modeled |
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Modeled |
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Net |
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Weighted |
CPR |
2022 CPR |
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Interest |
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Interest |
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% |
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Weighted |
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Average |
(1-Month) |
(3-Month) |
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Rate |
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Rate |
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Current |
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Fair |
of |
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Current |
Average |
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Maturity |
(Reported |
(Reported |
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Sensitivity |
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Sensitivity |
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Type |
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Face |
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Value |
Portfolio |
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Price |
Coupon |
GWAC |
Age |
(Months) |
in Oct) |
in Oct) |
|
(-50 BPS)(1) |
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(+50 BPS)(1) |
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Pass Through RMBS |
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15yr 4.0 |
$ |
408 |
$ |
397 |
0.01% |
$ |
97.35 |
4.00% |
4.54% |
53 |
126 |
0.7% |
0.8% |
$ |
7 |
$ |
(7) |
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15yr Total |
|
408 |
|
397 |
0.01% |
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97.35 |
4.00% |
4.54% |
53 |
126 |
0.7% |
0.8% |
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7 |
|
(7) |
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30yr 3.0 |
|
2,601,125 |
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2,281,997 |
71.29% |
|
87.73 |
3.00% |
3.44% |
17 |
340 |
5.4% |
5.7% |
|
72,204 |
|
(74,402) |
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30yr 3.5 |
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219,548 |
|
201,102 |
6.28% |
|
91.60 |
3.50% |
4.03% |
31 |
320 |
6.4% |
9.7% |
|
5,523 |
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(5,658) |
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30yr 4.0 |
|
277,584 |
|
258,719 |
8.08% |
|
93.20 |
4.00% |
4.72% |
15 |
343 |
8.2% |
7.5% |
|
6,389 |
|
(6,881) |
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30yr 4.5 |
|
371,742 |
|
354,747 |
11.08% |
|
95.43 |
4.50% |
5.45% |
3 |
357 |
2.8% |
5.0% |
|
7,137 |
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(7,952) |
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30yr 5.0 |
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54,797 |
|
53,441 |
1.67% |
|
97.53 |
5.00% |
5.92% |
3 |
358 |
2.2% |
n/a |
|
911 |
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(1,049) |
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30yr Total |
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3,524,796 |
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3,150,006 |
98.40% |
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89.37 |
3.30% |
3.83% |
16 |
341 |
5.3% |
6.1% |
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92,164 |
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(95,942) |
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Total Pass Through RMBS |
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3,525,204 |
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3,150,403 |
98.41% |
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89.37 |
3.30% |
3.83% |
16 |
341 |
5.3% |
6.1% |
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92,171 |
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(95,949) |
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Structured RMBS |
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IO 20yr 4.0 |
|
11,312 |
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1,346 |
0.04% |
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11.90 |
4.00% |
4.57% |
129 |
104 |
11.2% |
11.6% |
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6 |
|
(7) |
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IO 30yr 3.0 |
|
3,252 |
|
409 |
0.01% |
|
12.58 |
3.00% |
3.64% |
92 |
258 |
0.7% |
29.3% |
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(1) |
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(1) |
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IO 30yr 3.5 |
|
145,785 |
|
29,657 |
0.93% |
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20.34 |
3.50% |
4.02% |
44 |
310 |
8.7% |
9.5% |
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(398) |
|
274 |
|||
IO 30yr 4.0 |
|
94,055 |
|
17,600 |
0.55% |
|
18.71 |
4.00% |
4.60% |
97 |
254 |
7.8% |
11.3% |
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(409) |
|
305 |
|||
IO 30yr 4.5 |
|
4,052 |
|
802 |
0.03% |
|
19.79 |
4.50% |
4.99% |
147 |
200 |
10.7% |
10.5% |
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(8) |
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5 |
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IO 30yr 5.0 |
|
2,242 |
|
460 |
0.01% |
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20.52 |
5.00% |
5.36% |
147 |
200 |
1.6% |
3.8% |
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(8) |
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6 |
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IO Total |
|
260,698 |
|
50,274 |
1.57% |
|
19.28 |
3.72% |
4.27% |
70 |
278 |
8.3% |
10.4% |
|
(818) |
|
582 |
|||
IIO 30yr 4.0 |
|
32,609 |
|
537 |
0.02% |
|
1.65 |
1.51% |
4.40% |
60 |
289 |
0.6% |
9.9% |
|
141 |
|
(116) |
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Total Structured RMBS |
|
293,307 |
|
50,811 |
1.59% |
|
17.32 |
3.48% |
4.29% |
69 |
279 |
7.5% |
10.4% |
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(677) |
|
466 |
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Total Mortgage Assets |
$ |
3,818,511 |
$ |
3,201,214 |
100.00% |
|
|
3.31% |
3.86% |
20 |
336 |
5.5% |
6.5% |
$ |
91,494 |
$ |
(95,483) |
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Interest |
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Interest |
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Average |
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Hedge |
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Rate |
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Rate |
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Notional |
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Period |
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Sensitivity |
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Sensitivity |
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Hedge |
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Balance |
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End |
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(-50 BPS)(1) |
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(+50 BPS)(1) |
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5-Year Treasury Future(2) |
$ |
(750,500) |
|
Dec-2022 |
|
|
|
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|
|
|
|
$ |
(16,511) |
$ |
18,056 |
|||
10-Year Treasury Ultra(3) |
|
(174,500) |
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Dec-2022 |
|
|
|
|
|
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|
|
|
|
(10,293) |
|
9,310 |
|||
Swaps |
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(1,400,000) |
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Jul-2028 |
|
|
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|
|
|
(32,894) |
|
31,793 |
|||
TBA |
|
(475,000) |
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Nov-2022 |
|
|
|
|
|
|
|
|
|
|
(13,153) |
|
13,841 |
|||
Swaptions |
|
(625,300) |
|
Jan-2024 |
|
|
|
|
|
|
|
|
|
|
(6,490) |
|
7,544 |
|||
Hedge Total |
$ |
(3,425,300) |
|
|
|
|
|
|
|
|
|
|
|
$ |
(79,341) |
$ |
80,544 |
|||
Rate Shock Grand Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
12,153 |
$ |
(14,939) |
|||
(1) |
Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially. |
(2) |
Five-year Treasury futures contracts were valued at prices of $107.51 at September 30, 2022. The market value of the short position was $806.8 million. |
(3) |
Ten-year Treasury Ultra futures contracts were valued at prices of $118.48 at September 30, 2022. The market value of the short position was $206.8 million |
| RMBS Assets by Agency |
|
Investment Company Act of 1940 Whole Pool Test |
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($ in thousands) |
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($ in thousands) |
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Percentage |
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Percentage |
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Fair |
of |
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Fair |
of |
Asset Category |
|
Value |
Portfolio |
|
Asset Category |
|
Value |
Portfolio |
As of September 30, 2022 |
|
|
|
|
As of September 30, 2022 |
|
|
|
Fannie Mae |
$ |
2,231,699 |
69.7% |
|
Non-Whole Pool Assets |
$ |
140,243 |
4.4% |
Freddie Mac |
|
969,515 |
30.3% |
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Whole Pool Assets |
|
3,060,971 |
95.6% |
Total Mortgage Assets |
$ |
3,201,214 |
100.0% |
|
Total Mortgage Assets |
$ |
3,201,214 |
100.0%
|
Borrowings By Counterparty |
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($ in thousands) |
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Weighted |
Weighted |
|
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|
% of |
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Average |
Average |
|
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Total |
|
Total |
|
Repo |
Maturity |
Longest |
As of September 30, 2022 |
|
Borrowings |
|
Debt |
|
Rate |
in Days |
Maturity |
Daiwa Securities America Inc. |
$ |
305,822 |
|
9.9% |
|
3.05% |
25 |
11/3/2022 |
Merrill Lynch, Pierce, Fenner & Smith |
|
296,050 |
|
9.4% |
|
2.81% |
15 |
10/27/2022 |
Mirae Asset Securities (USA) Inc. |
|
286,438 |
|
9.1% |
|
3.02% |
52 |
1/30/2023 |
Cantor Fitzgerald & Co |
|
234,245 |
|
7.5% |
|
3.04% |
36 |
11/16/2022 |
J.P. Morgan Securities LLC |
|
223,180 |
|
7.1% |
|
2.90% |
13 |
10/26/2022 |
Mitsubishi UFJ Securities (USA), Inc |
|
206,189 |
|
6.6% |
|
3.09% |
33 |
11/8/2022 |
ED&F Man Capital Markets Inc |
|
200,001 |
|
6.4% |
|
3.12% |
22 |
10/24/2022 |
ABN AMRO Bank N.V. |
|
194,818 |
|
6.2% |
|
2.89% |
44 |
11/15/2022 |
RBC Capital Markets, LLC |
|
173,422 |
|
5.5% |
|
2.75% |
7 |
10/13/2022 |
ING Financial Markets LLC |
|
149,958 |
|
4.8% |
|
3.14% |
34 |
11/3/2022 |
Goldman, Sachs & Co |
|
129,760 |
|
4.1% |
|
3.14% |
38 |
11/14/2022 |
Nomura Securities International, Inc. |
|
123,060 |
|
3.9% |
|
3.15% |
39 |
11/14/2022 |
Santander Bank, N.A. |
|
117,062 |
|
3.7% |
|
3.14% |
27 |
10/28/2022 |
Citigroup Global Markets Inc |
|
111,594 |
|
3.6% |
|
2.87% |
28 |
11/3/2022 |
Wells Fargo Bank, N.A. |
|
101,431 |
|
3.2% |
|
2.88% |
36 |
11/14/2022 |
Bank of Montreal |
|
80,692 |
|
2.6% |
|
3.14% |
24 |
10/24/2022 |
StoneX Financial Inc. |
|
74,348 |
|
2.4% |
|
3.14% |
24 |
10/24/2022 |
ASL Capital Markets Inc. |
|
64,836 |
|
2.1% |
|
3.15% |
21 |
10/21/2022 |
South Street Securities, LLC |
|
38,047 |
|
1.2% |
|
3.12% |
19 |
10/19/2022 |
Lucid Cash Fund USG LLC |
|
22,908 |
|
0.7% |
|
2.78% |
13 |
10/13/2022 |
Total Borrowings |
$ |
3,133,861 |
|
100.0% |
|
3.00% |
29 |
1/30/2023 |
